public void GetHistoryRequirementsWorks()
{
const int periods = 3;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash("USD", 0, 0),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new StandardDeviationOfReturnsVolatilityModel(periods);
model.SetSubscriptionDataConfigProvider(new MockSubscriptionDataConfigProvider(config));
var result = model.GetHistoryRequirements(security, DateTime.UtcNow).First();
Assert.AreEqual(config.DataNormalizationMode, result.DataNormalizationMode);
Assert.AreEqual(config.Symbol, result.Symbol);
Assert.AreEqual(config.DataTimeZone, result.DataTimeZone);
Assert.AreEqual(config.IsCustomData, result.IsCustomData);
Assert.AreEqual(config.FillDataForward, result.FillForwardResolution != null);
Assert.AreEqual(config.ExtendedMarketHours, result.IncludeExtendedMarketHours);
// the StandardDeviationOfReturnsVolatilityModel always uses daily
Assert.AreEqual(Resolution.Daily, result.Resolution);
}
public void MinuteResolutionSelectedForFuturesOptions()
{
const int periods = 5;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.Chicago);
var timeKeeper = new TimeKeeper(referenceUtc);
var underlyingSymbol = Symbol.Create("ES", SecurityType.Future, Market.CME);
var futureOption = Symbol.CreateOption(
underlyingSymbol,
Market.CME,
OptionStyle.American,
OptionRight.Call,
0,
SecurityIdentifier.DefaultDate);
var underlyingConfig = new SubscriptionDataConfig(typeof(TradeBar), underlyingSymbol, Resolution.Minute, TimeZones.Chicago, TimeZones.Chicago, true, false, false);
var futureOptionConfig = new SubscriptionDataConfig(typeof(TradeBar), futureOption, Resolution.Minute, TimeZones.Chicago, TimeZones.Chicago, true, false, false);
var underlyingSecurity = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.Chicago),
underlyingConfig,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var futureOptionSecurity = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.Chicago),
futureOptionConfig,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
underlyingSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.Chicago));
futureOptionSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.Chicago));
var mock = new MockSubscriptionDataConfigProvider();
mock.SubscriptionDataConfigs.Add(underlyingConfig);
mock.SubscriptionDataConfigs.Add(futureOptionConfig);
var model = new StandardDeviationOfReturnsVolatilityModel(periods, Resolution.Minute, TimeSpan.FromMinutes(1));
model.SetSubscriptionDataConfigProvider(mock);
var futureHistoryRequirements = model.GetHistoryRequirements(underlyingSecurity, referenceUtc);
var optionHistoryRequirements = model.GetHistoryRequirements(futureOptionSecurity, referenceUtc);
Assert.IsTrue(futureHistoryRequirements.All(x => x.Resolution == Resolution.Minute));
Assert.IsTrue(optionHistoryRequirements.All(x => x.Resolution == Resolution.Minute));
}
public void DoesntUpdateOnZeroPrice()
{
const int periods = 3;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new StandardDeviationOfReturnsVolatilityModel(periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
var second = new IndicatorDataPoint(reference.AddDays(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(0, model.Volatility);
// update should not be applied since not enough time has passed
var third = new IndicatorDataPoint(reference.AddDays(1.01), 1000);
security.SetMarketPrice(third);
Assert.AreEqual(0, model.Volatility);
var fourth = new IndicatorDataPoint(reference.AddDays(2), 3);
security.SetMarketPrice(fourth);
Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
// update should not be applied as price is 0
var fifth = new IndicatorDataPoint(reference.AddDays(3), 0m);
security.SetMarketPrice(fifth);
Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
}
public void UpdatesOnCustomConfigurationParametersOneMinute()
{
const int periods = 5;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new StandardDeviationOfReturnsVolatilityModel(periods, Resolution.Minute, TimeSpan.FromMinutes(1));
for (var i = 0; i < 5; i++)
{
if (i < 3)
{
Assert.AreEqual(0, model.Volatility);
}
else
{
Assert.AreNotEqual(0, model.Volatility);
}
model.Update(security, new TradeBar
{
Open = 11 + (i - 1),
High = 11 + i,
Low = 9 - i,
Close = 11 + i,
Symbol = security.Symbol,
Time = reference.AddMinutes(i)
});
}
Assert.AreNotEqual(0, model.Volatility);
}
public void UpdatesAfterCorrectDailyPeriodElapses()
{
const int periods = 3;
var periodSpan = Time.OneMinute;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash("USD", 0, 0), SymbolProperties.GetDefault("USD"));
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new StandardDeviationOfReturnsVolatilityModel(periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
var second = new IndicatorDataPoint(reference.AddDays(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(0, model.Volatility);
// update should not be applied since not enough time has passed
var third = new IndicatorDataPoint(reference.AddDays(1.01), 1000);
security.SetMarketPrice(third);
Assert.AreEqual(0, model.Volatility);
var fourth = new IndicatorDataPoint(reference.AddDays(2), 3);
security.SetMarketPrice(fourth);
Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
}
